Cortisol will certainly cause hair loss when applied directly to the skin. This could be by upregulating TGF-β, something aldosterone has been shown to do. Also, the immunophilins form a complex with the mineralcorticoid receptor—a molecular chaperone. The immunophilins are responsible for transcribing interferon-γ.
But immune responses can also upregulate cortisol, so there's no way to determine that the epidemiological correlations between cortisol and hair loss are a cause of cortisol or immune activation.
I can tell you one thing: Animals which have had their adrenal cortex removed will grow more hair. This was a very common finding in the '40s and '50s. The effects of cortisol on hair are undeniably bad, and it has even been shown to reduce growth rates on isolated follicles. How exactly this happens is disputable, but there are many overlaps between cortisol, mast cells, growth factors, and immune cytokines.
How can you know so much? :) It seems like you are just days away from unlocking the MPB mystery. :)
I get tempted on trying cyclosporine for my hair but it maight be to dangerous?